Local M-estimation for jump-diffusion processes
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Cites work
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- A theory of the term structure of interest rates
- Estimation of parameters for diffusion processes with jumps from discrete observations
- Fully Nonparametric Estimation of Scalar Diffusion Models
- scientific article; zbMATH DE number 4213277 (Why is no real title available?)
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- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- scientific article; zbMATH DE number 1515832 (Why is no real title available?)
- scientific article; zbMATH DE number 822726 (Why is no real title available?)
- scientific article; zbMATH DE number 3272009 (Why is no real title available?)
- Invariant measure for diffusions with jumps
- Local M-estimator for nonparametric time series.
- Martingale estimation functions for discretely observed diffusion processes
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- On the functional estimation of jump-diffusion models.
- Option pricing when underlying stock returns are discontinuous
- Parameter estimation and bias correction for diffusion processes
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Power Variation and Time Change
- Robust local polynomial regression for dependent data
- Strong feller property and irreducibility of diffusions with jumps
- The surprise element: Jumps in interest rates.
- Variable bandwidth and one-step local \(M\)-estimator
Cited in
(14)- On the functional estimation of jump-diffusion models.
- Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
- Successive approximation to solutions of stochastic differential equations with jumps in local non-Lipschitz conditions
- Bias correction estimation for a continuous-time asset return model with jumps
- Improved local approximation for multidimensional diffusions: The G-rates
- Local linear estimation of second-order jump-diffusion model
- Local Linear Estimation of Recurrent Jump—Diffusion Models
- Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor
- Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
- Semiparametric segment M-estimation for locally stationary diffusions
- Infinitesimal robustness for diffusions
- Local Linear Approximations of Jump Diffusion Processes
- Local linear estimation of jump-diffusion models by using asymmetric kernels
- \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
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